Dhaene, Geert; Gourieroux, Christian; Scaillet, Olivier - In: Econometrica 66 (1998) 3, pp. 673-688
Methods of indirect, simulation-based inference for nested and nonnested hypotheses are developed. The methods make use of instrumental models and are applicable in cases where likelihood-based inference is numerically unfeasible. The asymptotic normality of an indirect Wald vector is shown and...